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2008 Jun 01
2
how to analyze time series structures?
...of the Turkish stock exchange determine foreign stock exchange; however, lag values and spot values of the foreign stock exchange affect Turkish stock exchange movement. To calculate the standard errors of the impulse response functions, I should use the modified error bands of Bernanke, Hall, Leeper, Sims and Zha (1996) for the maximum likelihood estimation (MLE). Data structure(time series); for ISE and DJIA daily closing prices from 01.01.1989 to 01.01.2008 in excel format. Also I should provide following spec.; *should fill the missing variables. *the lag order of the identified VAR model...